CAPMList is a helper function that computes the "alphas" and "betas" in the sense of the CAPM for
series of asset returns. It is meant to be used for computing "prior" means for the Black-Litterman model.
A matrix or data.frame of asset returns, with different columns corresponding to different assets
A time series of returns for some market index (e.g. SP500)
Risk-free rate of return
The name of the function to used to regress the asset return series against the market index. This is set in the BLCOP options,
A function that extracts the intercept (alpha) and coefficient of the market index (beta) from the results of a call to the regression function. It should return a vector containing these two elements.
Additional arguments to the regression function
coeffExtractFun is needed because some regression functions such as
gls from the
don't return their results in the same format as
lm does. If it is not supplied, a default that works with
lm results is used.
data.frame with one column for the "alphas" and another for the "betas"
Francisco Gochez <email@example.com>
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